勞同學(xué)
2018-11-16 16:09老師可以再解釋一下margin step up嗎？
所屬：FRM Part II 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Galina助教
2018-11-16 16:42
該回答已被題主采納
A number of ABS issues incorporate a step-up feature in the coupon structure, which typically coincides with a call date. Although the issuer is usually under no obligation to redeem the notes at this point, the step-up feature was introduced as an added incentive for investors, to convince them from the outset that the economic cost of paying a higher coupon is unacceptable and that the issuer would seek to refinance by exercising its call option.
許多ABS問題包含coupon隨之時(shí)間的推移而逐漸上升（也就是發(fā)行證券化產(chǎn)品需要支付給senior和mezz投資者coupon，但因?yàn)閙argin step up，意味著支付的coupon逐年升高，融資成本逐年升高），而投資者害怕的是自己投資的證券化產(chǎn)品血本無歸（比如2008年金融危機(jī)的情況），所以有這種margin step up會促使issuer提前贖回發(fā)行的證券化產(chǎn)品，因?yàn)榘l(fā)行的越久，coupon越高。那么這種制度相當(dāng)于給證券化產(chǎn)品進(jìn)行了信用增級，因?yàn)橹辽倏梢源偈拱l(fā)行人體現(xiàn)贖回，保護(hù)好投資者的本金。
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